Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of
daily REIT ...

This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of ...

Cotter, John(University College Dublin. School of Business. Centre for Financial Markets, 2004)

In recent years the finance industry from an academic and practitioner perspective has
placed heavy emphasis on the analysis of volatility models. This is understandable
given the importance that volatility plays for ...

This study examines the distributional properties of futures prices for contracts traded on LIFFE. A filtering process is employed to remove day of the week and holiday effects, a maturity effect, moving average effects ...

Cotter, John; Stevenson, Simon(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2006-11)

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares ...

Key to the imposition of appropriate minimum capital requirements on a daily basis is accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high-frequency UK futures ...

Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. ...

Cotter, John(University College Dublin. School of Business. Centre for Financial Markets, 2004)

Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk ...